Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F24%3A63581938" target="_blank" >RIV/70883521:28120/24:63581938 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0275531924000308" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0275531924000308</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ribaf.2024.102238" target="_blank" >10.1016/j.ribaf.2024.102238</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Popis výsledku v původním jazyce

In this paper, we analyze the quantile return connectedness between the real estate tokens (PROPY, LATOKEN, ATLANT, IHT Real Estate Protocol) and other asset classes, namely oil, gold, bond, currency, equity, Bitcoin, and real estate investment trust for the period August 27, 2018, to April 25, 2022. We perform the connectedness at the mean, median, extreme lower quantile, and extreme upper quantile levels. At the mean and median levels, we find a low level of connectedness between real estate tokens and REIT, and a relatively higher level of connectedness with BTC. This highlights the importance of BTC contributing a high shock of spillover to the whole system, followed by equity and then oil markets. Then, extending our analysis to the extreme lower and upper quantiles, we uncover similar results, yet, this connectedness increases in extreme market conditions compared to the median level. Finally, we provide some implications for investment and portfolio diversification benefits using these assets.

Název v anglickém jazyce

Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Popis výsledku anglicky

In this paper, we analyze the quantile return connectedness between the real estate tokens (PROPY, LATOKEN, ATLANT, IHT Real Estate Protocol) and other asset classes, namely oil, gold, bond, currency, equity, Bitcoin, and real estate investment trust for the period August 27, 2018, to April 25, 2022. We perform the connectedness at the mean, median, extreme lower quantile, and extreme upper quantile levels. At the mean and median levels, we find a low level of connectedness between real estate tokens and REIT, and a relatively higher level of connectedness with BTC. This highlights the importance of BTC contributing a high shock of spillover to the whole system, followed by equity and then oil markets. Then, extending our analysis to the extreme lower and upper quantiles, we uncover similar results, yet, this connectedness increases in extreme market conditions compared to the median level. Finally, we provide some implications for investment and portfolio diversification benefits using these assets.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50204 - Business and management

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Research in International Business and Finance

ISSN

0275-5319

e-ISSN

1878-3384

Svazek periodika

69

Číslo periodika v rámci svazku

neuvedeno

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

15

Strana od-do

—

Kód UT WoS článku

001177604900001

EID výsledku v databázi Scopus

2-s2.0-85184069064